NIG distribution in modelling stock returns with assumption about stochastic volatility : Estimation of parameters and application to VaR and ETL
We model Normal Inverse Gaussian distributed log-returns with the assumption of stochastic volatility. We consider different methods of parametrization of returns and following the paper of Lindberg, [21] we assume that the volatility is a linear function of the number of trades. In addition to the...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Halmstad University
2009
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-58180 |